This is a selective guide to sources of United States macro-level economic statistics. Historical data in electronic format prior to 1950 is rare. Seek the assistance of a librarian when trying to get a complete picture of what is available. Many governmental sites provide current data only. Separate detailed guides are available for Financial Economics, Health, Environment, and Sports statistics as well as micro-level data.
The basic question to ask when looking for economic data is "Who cares about what I am studying?" Unfortunately, the answer will often be no one. Ideally, look for an organization that is concerned with your research as part of its mission. Examples include the Bureau of Labor Statistics focusing on labor research and the Board of Governors of the Federal Reserve focusing on monetary and fiscal concerns. What exists for one state may not exist for another state. Always look at the methodology.
With the exception of some governmental data, very little data is available for free via the WEB. Resources for Economists on the Internet and the Princeton University Library Economics Homepage provide good starting points for what is available.